HONOLULU, May 20, 2003: Kamakura Corporation announced today that faculty in the Department of Economics at Harvard University have licensed the Kamakura default data base KRIS-dd for research on corporate default and its relation to the performance of corporate bonds and equities. The Kamakura default data base begins in 1963 and includes more than 1.4 million observations on almost all listed companies in the United States. The KRIS-dd data base is the only default data base available on a monthly basis; monthly data offer maximum flexibility in analyzing the probability of default at short and long horizons. Professor John Y. Campbell, Otto Eckstein Professor of Applied Economics at Harvard, will lead the research effort.
"Researchers in finance have gained an increasing appreciation for the importance of potential default in equity and bond portfolio management and performance attribution," said Professor Campbell. "The Kamakura default data base, originally compiled by Professor Robert Jarrow and Sudheer Chava, is an exciting new source of information on defaults. Its monthly basis and the care with which it has been compiled make it ideal for drawing careful conclusions about the causes and implications of default." Professor Campbell was a professor of economics at Princeton University prior to joining Harvard, and he has held visiting appointments at the Sloan School at MIT, the Wharton School at the University of Pennsylvania, and the London School of Economics. He serves as Managing Director, Research, at Arrow Street Capital in addition to his post at Harvard. Professor Campbell is co-author of the leading advanced textbook in empirical finance, The Econometrics of Financial Markets, for which he received the Paul A. Samuelson Award.
"Kamakura is very pleased to make its default data base available to Professor Campbell and his colleagues," said Donald R. van Deventer, Kamakura Chairman and Chief Executive Officer. "Kamakura uses this data base itself for our multiple model default probability service KRIS-cr, which includes reduced form, structural and hybrid default probability models that are consistent with the requirements of the new Basel Capital Accord. We are grateful for the opportunity to work with Professor Campbell and his colleagues, and we look forward to their insights on the data base and its extensions."